Hybrid Local Search for Constrained Financial Portfolio Selection Problems

DOI10.1007/978-3-540-72397-4_4MaRDI QIDQ3612406zbMATH OpenOpenAlexFDO

Authors Luca Di Gaspero, Giacomo di Tollo, Andrea Roli, Andrea Schaerf

Publication date 10 March 2009

Published in Integration of AI and OR Techniques in Constraint Programming for Combinatorial Optimization Problems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-72397-4_4

Mathematics Subject Classification ID

Quadratic programming (90C20) Problem solving in the context of artificial intelligence (heuristics, search strategies, etc.) (68T20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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Cited in

(6)

• Hybrid metaheuristics for constrained portfolio selection problems
• Local search techniques for constrained portfolio selection problems
• Complex portfolio selection via convex mixed‐integer quadratic programming: a survey
• Optimization of cardinality constrained portfolios with a hybrid local search algorithm
• A new method for mean-variance portfolio optimization with cardinality constraints
• Linear vs. quadratic portfolio selection models with hard real-world constraints

Describes a project that uses

Uses Software

• EasyLocal++

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